Applications of a Combined Monte Carlo and Quasi-monte Carlo Method to Pricing Barrier Options
نویسندگان
چکیده
In this paper, we apply a combined Monte Carlo and Quasi-Monte Carlo method, developed by us in a previous paper [31], to the evaluation of barrier options. We assume that the stock price of the underlying asset is driven by a Lévy process with independent increments distributed according to a NIG distribution. We also provide numerical results that compare our method with the Monte Carlo method. Numerical experiments indicate an increased accuracy of our method. 2000 Mathematics Subject Classification: 11K36, 11K38, 11K45, 62P05, 65C05, 91B24, 91B28.
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